A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models

Atsushi Inoue, Gary Solon

We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as a conditional Lagrange multiplier test, but it also has a straightforward Wald test interpretation. In Monte Carlo experiments, the test displays good size and power properties

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Year of publication:	June 2005
Authors:	Inoue, Atsushi
Other Persons:	Solon, Gary (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Theorie \| Theory \| Korrelation \| Correlation \| Statistischer Test \| Statistical test \| Monte-Carlo-Simulation \| Monte Carlo simulation

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